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Dynamic asset allocation with event risk

Liu, Jun; Longstaff, Francis A.; Pan, Jun - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 231-260

Persistent link: https://www.econbiz.de/10001737272

Dynamic asset allocation with event risk

Liu, Jun; Longstaff, Francis A.; Pan, Jun - 2002

Persistent link: https://www.econbiz.de/10001689160

Dynamic Asset Allocation with Event Risk

Liu, Jun - 2002

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....

Persistent link: https://www.econbiz.de/10012787129

Valuing thinly-traded assets

Longstaff, Francis A. - 2014

Persistent link: https://www.econbiz.de/10010431346

Valuing thinly traded assets

Longstaff, Francis A. - In: Management science : journal of the Institute for … 64 (2018) 8, pp. 3868-3878

Persistent link: https://www.econbiz.de/10011900055

Electronic screen trading and the transmission of information : an empirical examination

Grünbichler, Andreas - In: Journal of financial intermediation 3 (1994) 2, pp. 166-187

Persistent link: https://www.econbiz.de/10001166034

Corporate earnings and the equity premium

Longstaff, Francis A.; Piazzesi, Monika - 2003

Persistent link: https://www.econbiz.de/10001816584

Corporate earnings and the equity premium

Longstaff, Francis A.; Piazzesi, Monika - In: Journal of financial economics 74 (2004) 3, pp. 401-421

Persistent link: https://www.econbiz.de/10002439204

Disagreement and asset prices

Carlin, Bruce Ian; Longstaff, Francis A.; Matoba, Kyle - 2012

Persistent link: https://www.econbiz.de/10009687279

Macroeocnomic-driven prepayment risk and the valuation of mortage-backed securities

Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016 - This revision March 2016

Persistent link: https://www.econbiz.de/10011481947

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